| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 趙子賢 | zh_TW |
| dc.contributor.author (Authors) | Chao, Tzu-Hsien | en_US |
| dc.creator (作者) | 趙子賢 | zh_TW |
| dc.creator (作者) | Chao, Tzu-Hsien | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:06:58 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:06:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:06:58 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923520101 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34021 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 92352010 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 國內結構債市場業已蓬勃發展，市場模型亦相當適合結構債評價。本文在市場模型下，因市場模型不具馬可夫性質，運用最小平方蒙地卡羅法針對三連結標的為LIBOR的結構債進行評價。 | zh_TW |
| dc.description.abstract (摘要) | The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we perform three case studies of the valuation of the structured notes linked to LIBOR in lognormal forward LIOBR model. It is easier to implement the lognormal forward LIBOR model by Monte Carlo simulation due to the non-Markovian property. Therefore, the least-squares Monte Carlo approach is used to deal with the callable feature of the structured notes in our case studies. | en_US |
| dc.description.tableofcontents | 1 Introduction1.1 Motive 11.2 Objective 11.3 Structure 12 Callable LIBOR Exotics and Interest Rate Models2.1 Callable LIBOR Exotics 32.1.1 Definition 42.1.2 Examples 62.2 Interest Rate Models 82.2.1 Short Rate Models 92.2.2 The Heath, Jarrow, and Morton (HJM) Model 132.2.3 The Market Models 152.3 Choosing the Lognormal Forward LIBOR Model (LFM) 163 Lognormal Forward LIBOR Model3.1 The LFM 173.1.1 The Model Set-up 173.1.2 Pricing Derivatives, Example of Cap (Caplet) 233.1.3 The Dynamics of LFM under Different Numeraires 253.2 The Callable Feature 30The Least-squares Approach 303.3 Model Calibration 37Instantaneous Volatility Calibration 384 Case Study4.1 Callable Inverse Floater Note 444.2 Callable Cumulative Inverse Floater 554.3 Callable Daily Range Accrual Note 595 ConclusionAppendix 66References 67 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923520101 | en_US |
| dc.subject (關鍵詞) | 結構債券 | zh_TW |
| dc.subject (關鍵詞) | 市場模型 | zh_TW |
| dc.subject (關鍵詞) | 最小平方蒙地卡羅法 | zh_TW |
| dc.subject (關鍵詞) | Structured Notes | en_US |
| dc.subject (關鍵詞) | Lognormal Forward LIBOR Model | en_US |
| dc.subject (關鍵詞) | Least-squares Monte Carlo Simulation | en_US |
| dc.title (題名) | 市場模型下利率連動債券評價 — 以逆浮動、雪球型、及每日區間型為例 | zh_TW |
| dc.title (題名) | Callable LIBOR Exotics Valuation in Lognormal Forward LIBOR Model, Cases of Callable Inverse Floater, Callable Cumulative Inverse Floater, and Callable Daily Range Accrual Note | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 陳松男，金融工程學，華泰書局，民國九十一年一月初版。 | zh_TW |
| dc.relation.reference (參考文獻) | 張欽堯，利率連動債券之評價與分析—BGM模型，政大金融研究所碩士論文，民國九十三年六月。 | zh_TW |
| dc.relation.reference (參考文獻) | Black, F. and Karasinski, P. (1991) Bond and Option Pricing When Short Rates Are Lognormal, Financial Analysts Journal, Vol. 47, Iss. 4; pp. 52-59. | zh_TW |
| dc.relation.reference (參考文獻) | Brace, A., Gatarek, D., and Musiela, M. (1997) The Market Model of Interest Rate Dynamics, Mathematical Finance, Vol. 7, Iss. 2, pp. 127-155. | zh_TW |
| dc.relation.reference (參考文獻) | Brigo, D. and Mercurio, F. (2001) Interest Rate Models: Theory and Practice, Springer-Verlag, Berlin. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J.C., Ingersoll, J.E., and Ross, S.A. (1985) A Theory of the Term Structure of Interest Rates, Econometrica, Vol. 53, No. 2, pp. 385-408. | zh_TW |
| dc.relation.reference (參考文獻) | Das, S. (2001) Structured Products and Hybrid Securities, John Wiley & Sons Ltd., Singapore. | zh_TW |
| dc.relation.reference (參考文獻) | Heath, D., Jarrow, R., and Morton, A. (1992) Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica, Vol. 60, No. 1, pp. 77-105. | zh_TW |
| dc.relation.reference (參考文獻) | Ho; T.S.Y. and Lee, S.-B. (1986) Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, Vol. 41, No. 5, pp. 1011-1029. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. and White, A. (1990) Pricing Interest-Rate-Derivative Securities, The Review of Financial Studies, Vol. 3, No. 4, pp. 573-592. | zh_TW |
| dc.relation.reference (參考文獻) | Jamshidian, F. (1997) LIBOR and Swap Market Models and Measures, Finance and Stochastics, Vol. 1, Iss. 4. pp. 293-330. | zh_TW |
| dc.relation.reference (參考文獻) | Longstaff, F. and Schwartz, E. (2001) Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, Vol. 14, No.1, pp. 113-147. | zh_TW |
| dc.relation.reference (參考文獻) | Miltersen, K.R. Sandmann, K. and Sondermann D. (1997) Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates, Journal of Finance, Vol. 52, No. 1, pp. 409-430. | zh_TW |
| dc.relation.reference (參考文獻) | Piterbarg, V. (January 25, 2003a) Computing Deltas of Callable LIBOR Exotics in Forward LIBOR Models, Working Paper, Barclays Capital. | zh_TW |
| dc.relation.reference (參考文獻) | Piterbarg, V. (June 25, 2003b) A Practitioner’s Guide to Pricing and Hedging Callable LIBOR Exotics in Forward LIBOR Models, Working Paper, Barclays Capital. | zh_TW |
| dc.relation.reference (參考文獻) | Rebonato, R. (1999) Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options, John Wiley & Sons Ltd., West Sussex. | zh_TW |
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